Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0052 |
| Annualized Std Dev | 0.0370 |
| Annualized Sharpe (Rf=0%) | 0.1397 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3526.0000 |
| NAs | 1.0000 |
| Minimum | -0.0315 |
| Quartile 1 | -0.0009 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0010 |
| Maximum | 0.0313 |
| SE Mean | 0.0000 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0023 |
| Skewness | -0.7202 |
| Kurtosis | 31.7806 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0017 |
| Gain Deviation | 0.0017 |
| Loss Deviation | 0.0020 |
| Downside Deviation (MAR=210%) | 0.0086 |
| Downside Deviation (Rf=0%) | 0.0017 |
| Downside Deviation (0%) | 0.0017 |
| Maximum Drawdown | 0.0787 |
| Historical VaR (95%) | -0.0034 |
| Historical ES (95%) | -0.0056 |
| Modified VaR (95%) | -0.0028 |
| Modified ES (95%) | -0.0028 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2015-04-27 | 2018-11-02 | 2020-04-23 | -0.0787 | 1258 | 890 | 368 |
| 2010-11-05 | 2013-09-05 | 2015-01-15 | -0.0659 | 1055 | 712 | 343 |
| 2008-01-23 | 2008-10-30 | 2008-11-25 | -0.0454 | 215 | 197 | 18 |
| 2007-03-22 | 2007-06-12 | 2007-10-24 | -0.0320 | 151 | 57 | 94 |
| 2020-05-08 | 2021-03-19 | NA | -0.0254 | 219 | 218 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | 0 | -0.4 | -0.7 | 0.2 | -0.2 | 0.2 | -0.1 | -0.1 | 0.1 | 0.1 | -1 |
| 2008 | -0.3 | 0.5 | -0.7 | -0.3 | 0.2 | -0.5 | -0.5 | -0.1 | -0.7 | 0.7 | 0 | 0.2 | -1.7 |
| 2009 | 0 | 0.1 | -0.2 | -0.4 | -0.5 | -0.2 | 0.6 | -0.2 | 0 | 0.3 | -0.6 | -0.2 | -1.4 |
| 2010 | -0.4 | -0.3 | -0.5 | 0.1 | -0.2 | -0.3 | 0.1 | -0.2 | -0.2 | -0.1 | -3.1 | 0.5 | -4.6 |
| 2011 | -0.7 | -0.2 | -0.2 | 0.2 | 0.1 | -0.4 | -0.1 | -0.1 | 0.1 | -0.1 | -0.2 | 0.1 | -1.7 |
| 2012 | -0.2 | -0.3 | -0.1 | -0.2 | -0.1 | -0.1 | -0.2 | 0.1 | -0.1 | -0.2 | 0 | -0.1 | -1.4 |
| 2013 | -0.2 | 0 | -0.1 | -0.1 | -0.2 | 0.1 | -0.7 | -0.1 | -0.2 | -0.5 | 0 | -0.2 | -2.1 |
| 2014 | 0.2 | 0 | -0.3 | 0.1 | -0.1 | -0.3 | 0.2 | 0 | 0.3 | 0 | -0.2 | 0.1 | 0.1 |
| 2015 | 0.1 | 0.3 | 0 | -0.4 | -0.2 | -0.3 | 0.3 | 0 | -0.1 | 0.2 | -0.4 | 0.1 | -0.4 |
| 2016 | -0.3 | -0.3 | -0.2 | 0 | -0.2 | 0 | -0.2 | -0.1 | 0 | -0.2 | -0.6 | 0.2 | -2.1 |
| 2017 | -0.3 | -0.7 | 0.2 | -0.4 | -0.2 | -0.1 | -0.1 | -0.3 | -0.1 | -0.2 | -0.1 | 0.1 | -2.1 |
| 2018 | -0.5 | 0 | 0.1 | -0.3 | -0.5 | 0 | -0.3 | 0.1 | -0.3 | -0.2 | 0.1 | 0.2 | -1.6 |
| 2019 | -0.5 | -0.5 | -0.6 | -0.2 | 0.2 | -0.3 | 0.1 | 0.1 | -0.2 | -0.2 | 0 | 0 | -2.1 |
| 2020 | 0 | 0.2 | -0.6 | -0.2 | -0.1 | -0.1 | 0.1 | -0.1 | -0.2 | 0 | -0.2 | 0 | -1.2 |
| 2021 | -0.1 | 0.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-03-16 101. SPY 139. -0.0028 -0.0121 -0.0448 -0.0186 0.0636 0.251 0.200 GLD 64.6 0.01 0.00580
2 2007-03-20 101. SPY 141. 0.0055 0.0197 -0.0327 -0.015 0.0792 0.247 0.208 GLD 65.3 0.0082 0.0243
3 2007-03-21 101. SPY 143. 0.0165 0.0288 -0.0188 0.0067 0.0988 0.267 0.22 GLD 65.8 0.0084 0.0294
4 2007-03-22 101. SPY 143. -0.0008 0.0266 -0.0192 0.0087 0.105 0.289 0.242 GLD 65.8 -0.0009 0.0278
5 2007-03-23 101. SPY 143. 0.0015 0.0351 -0.017 0.0082 0.0998 0.308 0.244 GLD 65.2 -0.00930 0.0082
6 2007-03-26 101. SPY 143. -0.0013 0.0214 -0.0145 0.0075 0.101 0.308 0.245 GLD 65.8 0.0106 0.017
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
